Salvo Alternative Solution

Portfolio Objective

The primary investment objective of the portfolio is to provide the investor with long term growth with the option of an underlying explicit RMB guarantee which is term dependent. The portfolio aims to outperform its benchmark of Stefi over any rolling 12 month period, irrespective of prevailing market conditions and economic cycles. The portfolio aims to produce returns within a volatility band of 3-5% per annum and returns between 9-12% per annum. The portfolio objective is to generate consistent risk adjusted returns.

Investment Strategy

The performance of this portfolio is linked to a combination of local hedge funds. The strategy is to blend a optimal long -short hedge fund portfolio by diversifying between managers that each offer unique characteristics to add to the diversification benefits of the portfolio. The portfolio is constructed with consistency of performance and the management of volatility in mind. Allocation to managers is done on a risk parity basis.

  • Salvo Alternative
  • STEFI

Performance Summary

Salvo PortfolioStefi
Annualised performance since inception10.26%6.45%
Return YTD2.47%3.13%
Standard deviation annualised4.24%
Downside deviation annualised2.38%
Maximum drawdown-4.04%
Sharpe ratio0.90
Sortino ratio1.60

Monthly Performance Summary

JANFEBMARAPRMAYJUNJULAUGSETOCTNOVDECYTD
20120.24%0.15%0.39%
20133.00%0.62%2.14%0.42%3.65%-0.81%1.98%1.14%2.00%2.04%0.21%1.41%19.22%
2014-0.98%1.88%1.52%0.81%2.15%0.68%0.75%0.50%0.24%0.84%0.80%1.58%11.26%
20150.94%2.23%1.18%2.03%0.00%0.08%1.70%-0.21%-0.08%2.98%0.03%-0.48%10.85%
2016-2.36%-1.09%3.04%0.25%2.46%-1.26%0.25%2.24%-0.70%-0.70%-0.28%0.86%2.61%
20171.16%0.32%0.54%0.45%-0.01%2.47%